Merge branch 'develop' into 0019-MCAL-028

vegaprotocol · Nov 9, 2023 · a51b052 · a51b052
2 parents a5e8ea0 + e1f1379
commit a51b052
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Showing 2 changed files with 15 additions and 20 deletions.
diff --git a/core/integration/features/settlement/0019-MCAL_fundingMargin2.feature b/core/integration/features/settlement/0019-MCAL_fundingMargin2.feature
@@ -11,15 +11,15 @@ Feature: Test funding margin for Perps market
 
     And the markets:
       | id        | quote name | asset | risk model                  | margin calculator         | auction duration | fees         | price monitoring | data source config | linear slippage factor | quadratic slippage factor | position decimal places | market type | sla params      |
-      | ETH/DEC19 | ETH        | USD   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | perp-oracle        | 1e6                    | 1e6                       | -3                      | perp        | default-futures |
+      | ETH/DEC19 | ETH        | USD   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | perp-oracle        | 1e6                    | 0                         | -3                      | perp        | default-futures |
 
     And the following network parameters are set:
       | name                           | value |
       | market.auction.minimumDuration | 1     |
       | limits.markets.maxPeggedOrders | 2     |
 
   @Perpetual
-  Scenario: (0019-MCAL-019) check funding margin for Perps market when clumps are 0.1 and 0.9
+  Scenario: (0019-MCAL-026) check funding margin for Perps market when clumps are 0.1 and 0.9
     Given the following network parameters are set:
       | name                                    | value |
       | network.markPriceUpdateMaximumFrequency | 5s    |
@@ -145,7 +145,7 @@ Feature: Test funding margin for Perps market
       | name             | value      | time offset |
       | perp.funding.cue | 1613061324 | 0s          |
 
-#funding payment = f_twap - s_twap + clamp_lower_bound*s_twap =2000-1600+(0.1*1600)=560
+    #funding payment = f_twap - s_twap + clamp_lower_bound*s_twap =2000-1600+(0.1*1600)=560
     And the following transfers should happen:
       | from   | to     | from account            | to account              | market id | amount  | asset |
       | aux2   | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 1120000 | USD   |
@@ -185,6 +185,4 @@ Feature: Test funding margin for Perps market
       | market | party3 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 1000   | USD   |
 
     And the cumulated balance for all accounts should be worth "330000000"
-    And the settlement account should have a balance of "0" for the market "ETH/DEC19"
-
-# Then debug transfers
+    And the settlement account should have a balance of "0" for the market "ETH/DEC19"
diff --git a/core/integration/features/verified/0019-MCAL-margin_calculator-slippage.feature b/core/integration/features/verified/0019-MCAL-margin_calculator-slippage.feature
@@ -15,12 +15,12 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
 
         And the markets:
             | id        | quote name | asset | liquidity monitoring | risk model        | margin calculator         | auction duration | fees         | price monitoring | data source config           | linear slippage factor | quadratic slippage factor | sla params      |
-            | ETH/FEB23 | ETH        | USD   | lqm-params           | simple-risk-model | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future       | 0.25                   | 0.25                      | default-futures |
-            | ETH/MAR23 | ETH        | USD   | lqm-params           | simple-risk-model | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future       | 100                    | 100                       | default-futures |
+            | ETH/FEB23 | ETH | USD | lqm-params | simple-risk-model | default-margin-calculator | 1 | default-none | default-none | default-eth-for-future | 0.25 | 0 | default-futures |
+            | ETH/MAR23 | ETH | USD | lqm-params | simple-risk-model | default-margin-calculator | 1 | default-none | default-none | default-eth-for-future | 100  | 0 | default-futures |
 
 
     @SLABug
-    Scenario: Check slippage-factors yield the correct maximum slippage for a specific market state (0019-MCAL-011)(0019-MCAL-012)
+    Scenario: Check slippage-factors yield the correct maximum slippage for a specific market state (0019-MCAL-024)(0019-MCAL-025)
 
         # Create position, order book, and mark price conditions matching the spec
         Given the parties deposit on asset's general account the following amount:
@@ -46,7 +46,7 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
             | sellSideProvider| ETH/MAR23 | sell | 10     | 100100 | 0                | TYPE_LIMIT | TIF_GTC |
 
 
-        # Checks for 0019-MCAL-012
+# Checks for 0019-MCAL-025
         When the network moves ahead "2" blocks
         # Check mark-price matches the specification
         Then the mark price should be "15900" for the market "ETH/FEB23"
@@ -60,8 +60,8 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
         # Check party margin levels match the specification
         And the parties should have the following margin levels:
             | party | market id | maintenance | search | initial | release |
-            | party | ETH/FEB23 | 9540        | 10494  | 11448   | 13356   |
-
+            | party | ETH/FEB23 | 5565 | 6121 | 6678 | 7791 |
+#margin = min((100000-15900), 15900*(0.25))+0.1*15900=5565
 
         # Checks for 0019-MCAL-013
         # Network has moved ahead to leave ETH/FEB23 opening auction, ends this opening auction, too
@@ -79,6 +79,7 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
         And the parties should have the following margin levels:
             | party | market id | maintenance | search | initial | release |
             | party | ETH/MAR23 | 85690       | 94259  | 102828  | 119966  |
+#margin = min((100000-15900), 15900*(100))+0.1*15900=85690
 
     Scenario: Check margin is calculated correctly using capped slippage depending on the volume of orders on the book (0019-MCAL-014)(0019-MCAL-015)(0019-MCAL-016)(0019-MCAL-017)(0019-MCAL-018)
 
@@ -99,7 +100,6 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
             | sellSideProvider | ETH/FEB23 | sell | 5      | 502   | 0                | TYPE_LIMIT | TIF_GTC | ssp-2     |
             | sellSideProvider | ETH/FEB23 | sell | 10     | 504   | 0                | TYPE_LIMIT | TIF_GTC | ssp-1     |
 
-
         # Case for 0019-MCAL-017 and 0019-MCAL-018:
         #   - For the party 'longTrader'; riskiest long > 0 && abs(riskiest long) < sum of volume of order book bids
         #   - For the party 'shortTrader'; riskiest short < 0 && abs(riskiest long) < sum of volume of order book bids
@@ -116,7 +116,6 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
             | longTrader  | ETH/FEB23 | 530         | 583    | 636     | 742     |
             | shortTrader | ETH/FEB23 | 530         | 583    | 636     | 742     |
 
-
         # Case for 0019-MCAL-015:
         #   - For the party 'longTrader'; riskiest long > 0 && abs(riskiest long) > sum of volume of order book bids
         When the parties cancel the following orders:
@@ -139,8 +138,7 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
         Then the mark price should be "500" for the market "ETH/FEB23"
         And the parties should have the following margin levels:
             | party       | market id | maintenance | search | initial | release |
-            | longTrader  | ETH/FEB23 | 14250       | 15675  | 17100   | 19950   |
-
+            | longTrader | ETH/FEB23 | 1750 | 1925 | 2100 | 2450 |
 
         # Case for 0019-MCAL-016:
         #   - For the party 'shortTrader'; riskiest short < 0 && abs(riskiest short) > sum of volume of order book asks
@@ -164,9 +162,8 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
         Then the mark price should be "500" for the market "ETH/FEB23"
         And the parties should have the following margin levels:
             | party       | market id | maintenance | search | initial | release |
-            | shortTrader | ETH/FEB23 | 14250       | 15675  | 17100   | 19950   |
+            | shortTrader | ETH/FEB23 | 1750 | 1925 | 2100 | 2450 |
 
-
         # Case for 0019-MCAL-014:
         #   - For the party 'longTrader'; riskiest long > 0 && no bids on the book
         #   - For the party 'shortTrader'; riskiest short < 0 && no asks on the book
@@ -184,5 +181,5 @@ Feature: Test capped maximum slippage values are calculated correctly in range o
         Then the mark price should be "498" for the market "ETH/FEB23"
         And the parties should have the following margin levels:
             | party       | market id | maintenance | search | initial | release |
-            | longTrader  | ETH/FEB23 | 14193       | 15612  | 17031   | 19870   |
-            | shortTrader | ETH/FEB23 | 14193       | 15612  | 17031   | 19870   |
+            | longTrader  | ETH/FEB23 | 1743 | 1917 | 2091 | 2440 |
+            | shortTrader | ETH/FEB23 | 1743 | 1917 | 2091 | 2440 |